Revisiting Effects of S&P 500 Additions and Deletions

How has the immediate price impact associated with a stock entering or leaving the S&P 500 evolved? In the March 2024 revision of their paper entitled “The Disappearing Index Effect”, Robin Greenwood and Marco Sammon revisit abnormal returns during the trading day after S&P 500 additions and deletions and investigate four potential drivers of findings. Using announcement dates, implementation dates and daily returns for 732 S&P 500 additions and 726 S&P 500 deletions, and holdings of large U.S. equity funds, during 1980 through 2020, they find that:

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